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Slippage during the Flash Crash of '19


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Slippage during the Flash Crash of '19

  #1 (permalink)
djbraski
Minneapolis, MN
 
Posts: 2 since Feb 2019
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Let's say I had a futures position in the Aussie or Yen that went against me during the Flash crash in early January. Even with stops in place, any idea what sort of slippage in ticks occurred? And would it be better or worse in the spot market? Any anecdotes or info would be helpful. Depending on the news or situation I know crashes can be more extreme, but I'm trying to determine what events might be an account killer even with stops in place. Thanks!

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  #3 (permalink)
 artemiso 
New York, NY
 
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djbraski View Post
Let's say I had a futures position in the Aussie or Yen that went against me during the Flash crash in early January. Even with stops in place, any idea what sort of slippage in ticks occurred? And would it be better or worse in the spot market? Any anecdotes or info would be helpful. Depending on the news or situation I know crashes can be more extreme, but I'm trying to determine what events might be an account killer even with stops in place. Thanks!

Is this Jan 2, 4+ PM EST?

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  #4 (permalink)
djbraski
Minneapolis, MN
 
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artemiso View Post
Is this Jan 2, 4+ PM EST?

Yes, that's the one, thanks.

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  #5 (permalink)
 artemiso 
New York, NY
 
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Platform: Vanguard 401k
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djbraski View Post
Yes, that's the one, thanks.

Depends on how slow your platform is, it's about 5-11 ticks from 20ms to 1.5s.

Spot is more stable if you are slow, about 5-6 pips from 20ms to 1.5s. But YMMV depending on your retail dealer/broker, I'm plotting the interbank rates.



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Last Updated on February 5, 2019


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